Every file you open or run in Windows Media Player is recorded, they are kept in the MRU (Most recently used) in the registry. Anyone can easily go in there and see what you have been viewing.

To remove the media Player history:
1. Click Start --> Run and type regedit
2. Navigate to this Directory called "RecentFileList" and click on it:

HKEY_CURRENT_USER/Software/Microsoft/MediaPlayer/Player/RecentFileList

3. Right click on each key in the right window, and choose delete. i.e File 0, File 1 etc
4. Also check the folder below it called "RecentURLList" and do the same.

To prevent Media Player from entering more data in the list:
1. Click Start --> Run and type regedit
2. Navigate to this Directory :

HKEY_CURRENT_USER/Software/Microsoft/MediaPlayer/Preferences

3. In the right window double click on the key called "AddToMRU"
4. Double click that key and set the value to 00 (two zeros).

Enjoy,
BB
source: xp-erience.org